Cross Sectional Analysis of Short Sale Determinants on U.S. Blue Chips

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F15%3A00083853" target="_blank" >RIV/00216224:14560/15:00083853 - isvavai.cz</a>

Výsledek na webu

<a href="http://dx.doi.org/10.5817/FAI2015-2-2" target="_blank" >http://dx.doi.org/10.5817/FAI2015-2-2</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.5817/FAI2015-2-2" target="_blank" >10.5817/FAI2015-2-2</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Cross Sectional Analysis of Short Sale Determinants on U.S. Blue Chips

Popis výsledku v původním jazyce

Short sale is a market practice that allows participle in overpricing markets. The fundamental goal of short sale is to sell borrowed securities, repurchase them back after their prices decrease and then return them to a lender. The aim of this paper isto investigate determinants of the short sale (measured by short sale ratio or SIR) activity. Based on the previous studies the short sale determinants are represented by market specific variables and fundamental-to-price ratios and correspond with hypotheses that explain investor motivations of going short. A panel regression with fixed effect is applied to determine these variables. The trend of short sale is analyzed by splitting the full sample period in three sub periods. There are identified factors such as abnormal rate of return, volume of trade, volatility, market capitalization and beta coefficient that are stable long term and influence the level of short sale.

Název v anglickém jazyce

Cross Sectional Analysis of Short Sale Determinants on U.S. Blue Chips

Popis výsledku anglicky

Short sale is a market practice that allows participle in overpricing markets. The fundamental goal of short sale is to sell borrowed securities, repurchase them back after their prices decrease and then return them to a lender. The aim of this paper isto investigate determinants of the short sale (measured by short sale ratio or SIR) activity. Based on the previous studies the short sale determinants are represented by market specific variables and fundamental-to-price ratios and correspond with hypotheses that explain investor motivations of going short. A panel regression with fixed effect is applied to determine these variables. The trend of short sale is analyzed by splitting the full sample period in three sub periods. There are identified factors such as abnormal rate of return, volume of trade, volatility, market capitalization and beta coefficient that are stable long term and influence the level of short sale.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

—

Návaznosti

V - Vyzkumna aktivita podporovana z jinych verejnych zdroju

Rok uplatnění

2015

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Financial Assets and Investing

ISSN

1804-5081

e-ISSN

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Svazek periodika

6

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

15

Strana od-do

21-35

Kód UT WoS článku

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EID výsledku v databázi Scopus

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